Option Vera (DvegaDrho)
Computes the vera of an option, also called rhova: a second-order cross Greek that measures how much the vega changes when the interest rate moves, that is, the derivative of vega with respect to r. It's an obscure sensitivity, used by desks that need to understand how volatility exposure interacts with rate changes. The closed form is −vega·√T·d1/σ, and it's easy to get wrong: the correct version uses d1, not the product d1·d2. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
Result
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Option Vera (DvegaDrho)
Computes the vera of an option, also called rhova: a second-order cross Greek that measures how much the vega changes when the interest rate moves, that is, the derivative of vega with respect to r. It's an obscure sensitivity, used by desks that need to understand how volatility exposure interacts with rate changes. The closed form is −vega·√T·d1/σ, and it's easy to get wrong: the correct version uses d1, not the product d1·d2. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
The cross Greek that trips almost everyone
Vera, or rhova, is one of those Greeks that live at the back of the manual. It's a cross, second-order sensitivity: it measures how vega, the sensitivity to volatility, reacts when the interest rate moves. The people who need it are desks carrying large exposure to both volatility and rates who want to know how those two risks talk to each other.
The reason it deserves a spotlight isn't its day-to-day importance but how easy it is to get wrong. The correct form is vega times the square root of T times d1, divided by volatility. A common guess swaps d1 for the product d1·d2, and the result jumps to a different scale: almost seven times smaller. It's exactly the kind of transcription trap that catches anyone copying a formula from a dubious source.
The calculation is for a call with no dividends. Enter spot price, strike, interest rate, term in years and volatility, and the tool returns vera in units of price per unit of vol per unit of rate. It's a corner-case measure, but when you need it, you need it right.
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Option Veta (Vega Decay)
Computes the veta of an option, the Greek that measures how much the vega changes with each passing day. Since vega captures the premium's sensitivity to volatility, veta shows whether that sensitivity is shrinking over time, and it does: near expiry vega tends to zero, so a call's veta is usually negative. It's a second-order Greek that helps anticipate how the volatility exposure will behave. The result comes per year and per day, for a call with no dividends. Enter the spot price, the strike, the interest rate, the term in years and the volatility.
Option Color (Gamma Decay)
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Option Theta (Black-Scholes)
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The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.